Stylized Facts of the Statistical Properties of Risk and Return of the Dhaka Stock Exchange: 1991-2015
Iqbal, Kazi; Shahana, Siban | December 2019
Abstract
While the role of financial market, particularly the stock market, in promoting economic growth through efficient allocation of capital is well recognised, the investors of the developing economies have little knowledge about the return and risk of the markets they operate in. To this end, we compile a security level historical data for the period 1991-2015 for Dhaka Stock Exchange and identify some important stylized facts about the return and risk. Descriptive statistics of disaggregated stock data suggest that while the daily rate of returns swing up and down over decades, the volatility tends to increase over time. Manufacturing stocks outperform other sectors both in return and volatility. Similarly, older stocks earn better return with lesser risks than the newer stocks. Several standard tests confirm that the distribution of daily returns is not normal; it does not follow random walk and the market is not efficient. Overall, there is a risk return trade-off and this trade-off varies significantly with sectors, age and quality of the stocks.
Citation
Iqbal, Kazi; Shahana, Siban. 2019. Stylized Facts of the Statistical Properties of Risk and Return of the Dhaka Stock Exchange: 1991-2015. © Bangladesh Institute of Development Studies. http://hdl.handle.net/11540/14693.Keywords
Macroeconomic
Macroeconomic Analysis
Macroeconomic Framework
Macroeconomic Models
Macroeconomic Performance
Macroeconomic Planning
Macroeconomic Policies
Macroeconomic Reform
Macroeconomic Stabilization
Economic Development
Economic Infrastructure
Economic Policies
Regional Economic Development
Microfinance Programs
Public Finance
Local Financing
Financial Stability
Financial Sector Regulation
Public Financial Management
Financial System
Financial Statistics
Foreign and Domestic Financing
Financial Inclusion
Foreign direct investment
Crisis
Resilience
Bond Financing
Green bonds
Green financing
Social bonds
Blue bonds
Enterprises
Financial aid
Economies in transition
Local Finance
Local Government
Insurance Companies
Banks
Social Equity
Pension Funds
Mutual Funds
Financial Aspects
Fiscal Policy
Business cycle
Financial cycle
Financial literacy
Financial safety net
Exports
Financial crises
Digital
Digital currency
Digital economy
E-commerce
Fintech
Social responsibility of business
Accounting
Personal budgets
Cost and standard of living
Bank accounts
Credit control
Regulatory reform
Banks and banking
Digital Financial Service
Pension plans
Individual retirement accounts
Employee pension trusts
Investment management
Investments
Multiemployer pension plans
Keogh plans
Individual retirement accounts
Pension plans
Employee pension trusts
Pension trusts
Investment companies
International banks and banking
Stock exchanges
Thematic bonds
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